Meshless collocation method for option pricing by variance gamma model

DOI10.1142/S0219876213500047MaRDI QIDQ2971813zbMATH OpenFDO

Authors

Publication date 7 April 2017

Published in International Journal of Computational Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219876213500047

zbMATH Keywords

meshless collocationmultiquadricradial basis functionvariance gamma model

Mathematics Subject Classification ID

Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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